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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2001 Volume 46, Issue 1, Pages 74–93 (Mi tvp3952)

This article is cited in 70 papers

Sharp Large Deviations for the Ornstein–Uhlenbeck Process

B. Bercu, A. Rouault

Paris-Sud University 11

Abstract: We establish sharp large deviation principles for well-known random variables associated with the Ornstein–Uhlenbeck process, such as the energy, the maximum likelihood estimator of the drift parameter, and the log-likelihood ratio.

Keywords: large deviations, Ornstein–Uhlenbeck process, likelihood estimation.

Received: 27.10.1998
Revised: 05.06.2000

Language: English

DOI: 10.4213/tvp3952


 English version:
Theory of Probability and its Applications, 2002, 46:1, 1–19

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